Forecasting exchange rates with a large Bayesian VAR
By Andrea Carriero, George Kapetanios, Massimiliano Marcellino. 2009
180 citations recorded by the source corpus.
Subfields: Economics and Econometrics
View Paper: https://www.semanticscholar.org/paper/20f83f6eec25cf65b5073c9683f4f4581daf5b2a
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In Economics and Econometrics
- Joshua C. C. Chan
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- Jin-li Wang
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Citations in the corpus
- Exchange Rate Predictability (2013, unknown): “Molodtsova et al. (2010) use quarterly data interpolated from annual data; Carriero et al. (2009) use average exchange rates rather than end-of-period data.”
- Adaptive Shrinkage in Bayesian Vector Autoregressive Models (2019, background): “Especially in large models, variants of the priors discussed have been particularly successful in forecasting applications (Bańbura et al., 2010; Carriero et al., 2009; 2012; Giannone et al., 2014).”
- Theory and Practice of GVAR Modeling (2016, unknown): “Large scale Bayesian VARs have been explored, among others, by Giacomini and White (2006), De Mol, Giannone, and Reichlin (2008), Carriero, Kapetanios, and Marcellino (2009), and Banbura, Giannone, and Reichlin (2010).”
- Bayesian VARs : specification choices and forecast accuracy (2011, unknown): “At present, there is considerable interest in using BVARs for these purposes in a large dataset context (e.g. Carriero et al., 2009, 2011; Banbura et al., 2010; Koop, 2013).”
- Reconciling Output Gaps: Unobserved Components Model and Hodrick-Prescott Filter (2017, background): “Many recent papers, including Carriero, Kapetanios, and Marcellino (2009), Banbura, Giannone, and Reichlin (2010) and Koop (2013), have demonstrated the gains of incorporating the information content in a large number of macroeconomic variables.”
- Common Drifting Volatility in Large Bayesian VARs (2012, unknown): “(16) For this model, we follow other work on large VARs (e.g., Carriero, Kapetanios, and Marcellino 2009; Banbura, Giannone, and Reichlin 2010) and use the Normal-inverted Wishart prior and posterior detailed in such studies as Kadiyala and Karlsson (1997).”